Risk metrics and fine tuning of high‐frequency trading strategies
We propose risk metrics to assess the performance of high‐frequency (HF) trading strategies
that seek to maximize profits from making the realized spread where the holding period is …
that seek to maximize profits from making the realized spread where the holding period is …
[PDF][PDF] TOWARDS FLEXIBILITY OPTIONS'DE-VELOPMENT FOR PROSUMERS FROM RETAILERS'POINT OF VIEW
MT Abbas - 2023 - trepo.tuni.fi
TOWARDS FLEXIBILITY OPTIONS’ DE- VELOPMENT FOR PROSUMERS FROM RETAILERS’
POINT OF VIEW Page 1 Muhammad Tafseer Abbas TOWARDS FLEXIBILITY OPTIONS’ …
POINT OF VIEW Page 1 Muhammad Tafseer Abbas TOWARDS FLEXIBILITY OPTIONS’ …
Optimal control in limit order books
F Guilbaud - 2013 - theses.hal.science
We propose a quantitative approach to some high frequency trading problematics. We are
interested in several aspects of this field, from minimizing indirect trading costs to market …
interested in several aspects of this field, from minimizing indirect trading costs to market …
[PDF][PDF] On continuous time trading of a small investor in a limit order market
M Stroh - 2012 - Citeseer
We provide a mathematical framework to model continuous time trading in limit order
markets of a small investor whose transactions have no impact on order book dynamics. The …
markets of a small investor whose transactions have no impact on order book dynamics. The …